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8) (Definition) Let X be a random variable (rv) and defined by , Then X has moment list * Note:
( )
The
or expectation moment of X is
( ) ( ) + * ) +
( )
( ) ( ) ( ) ( ) ( ) , ( ) Sometimes the expectation E(X) is called the expected value of X, or the mean of X. When the mean designation is used, we denoted it by ( ).
)(
Fact (moment-list uniqueness). In (almost) complete generality, X=Y proof-omitted (Taylors Series uniqueness)
Moment Generating Function (Definition) Let X be a rv such that for some h>0, the expectation of exists for h<t<h. The moment generating function (mgf) of X is defined to be function M(t)=E( ). Laplace transform from Differential Equation, the mgf of X is ( ) , Recall , [ ] , ( )
Lecture 1 Thus,
( )
( )
( )
[ ( )
( )
Properties of mgfs: ( ) 1.
( ) ( ) ( ) 2. 3. (mgf uniqueness) If near 0, then X=Y ( ) 4. ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( )
( )
( )
i. Homework: Find
) + ) ) ( )
). Find mgf. ,
( )
( )
( ) {
( )}
( ). ( )
( ) ( ) ( ) ( )
Recall ( ) ( ) ( )
ii. Homework: Find moment list of Z Example 8 Find mgf for Solution: ( )
[ (
), i=1,2 (
),gamma distribution. ( ) ( )} ( )
( {
) ( )} { } ( )
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( ) ( )